This most likely means you are not actually using the Steam Online Subsystem
Make sure you have your DefaultEngine.ini setup correctly!
Always check out the latest version of ShooterGame/Config/DefaultEngine.ini to see what you need for Steam as the engine evolves.
I have this wiki on the subject of Steam Integration
https://wiki.unrealengine.com/Steam,_Using_the_Steam_SDK_During_Development
Rama
PS: There are other ways to get Steam ID that are more complicated, but let know if the above helps.